Risk management under time varying volatility and Pareto-stable distributions
Sharif Mozumder, M. Humayun Kabir, Michael Dempsey and Taufiq Choudhry
| Year of publication: |
2020
|
|---|---|
| Authors: | Mozumder, Sharif ; Kabir, M. Humayun ; Dempsey, Michael ; Choudhry, Taufiq |
| Subject: | GARCH models | risk measures | stable Paretian distribution | stable processes | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Risikomanagement | Risk management | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Risiko | Risk | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2019.1612025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012205404